Stock and Watson's DGLS " cointreg "

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ecofin
Posts: 182
Joined: Fri May 10, 2013 11:24 am

Stock and Watson's DGLS " cointreg "

Postby ecofin » Sat Jan 23, 2016 10:04 am

Hi,
can you add the three parts of the Weights section of the Options tab in cointegration regression, that we can help to estimate Stock and Watson's DGLS. (getting the estimated residuals using Saikkonen's method to construct the covariance matrix of the errors and then estimating the equation by GLS with Weights section).

Kind Regards.

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